Probability and Mathematical Finance Seminar
If you have questions or suggestions about the
seminar, please contact the
organizers: Agoston
Pisztora (Probability)
and Dmitry
Kramkov (Mathematical Finance).
Information for outside speakers or visitors can be found here.
Past Schedules
Fall 2006,
Spring 2006,
Fall 2005,
Spring 2005,
Fall 2004,
Spring 2004,
Fall 2003,
Spring 2003
Schedule for Spring 2007
Unless otherwise stated, the talks take place on Mondays
at 5 P.M. in Wean Hall, 6423.
- January 16, MATH COLLOQUIUM: 4:30 P.M., WeH 7500
-
Erhan Bayraktar, University of Michigan,
Quickest Detection for a Poisson Process with a Phase-type
Change-time Distribution
(Abstract)
- January 19, MATH COLLOQUIUM: 4:30 P.M., WeH 7500
-
Jianfeng Zhang, University of Southern California,
Monte-Carlo Methods for High Dimensional Forward Backward SDEs and
Quasilinear PDEs
(Abstract)
- January 22, MATH COLLOQUIUM: 4:30 P.M., WeH 7500
-
Mihai Sirbu, Columbia University,
A characterization of models in which mutual fund theorem
holds
(Abstract)
- January 26, MATH COLLOQUIUM: 4:30 P.M., WeH 7500
-
Soumik Pal, Cornell University,
Interacting Brownian Motions and the Distribution of Equity
Capital
(Abstract)
- January 29
-
Dejun Xie, University of Pittsburgh,
The Optimal Strategy for Prepayment of Mortgages
(Abstract)
- February 5
-
Bruno Bouchard, Université Paris VI,
Optimal reflection of diffusions and barrier options pricing
under constraints
(Abstract)
- February 12
-
Bruno Bouchard, Université Paris VI,
Regularity of BSDEs with reflection or jumps and Monte-Carlo
methods for the resolution of a class of (systems of) semilinear parabolic PDEs.
- February 19
-
Peter Carr, Bloomberg,
Robust replication of default contingent claims (joint with Bjorn Flesaker)
(Abstract)
- February 20, 5:00 P.M., Doherty Hall 4303
-
Mia Hinnerich, Stockholm School of Economics
Pricing Equity Swaps in an Economy with Jumps
(Abstract)
- March 19
-
David Saunders, University of Waterloo
Pricing CDO Tranches of Bespoke Portfolios (joint with Dan
Rosen)
(Abstract)
- March 26
-
Kasper Larsen, Carnegie Mellon University
Continuity of utility maximization with respect to
preferences (Paper)
- April 2
-
Elchanan Mossel, University of California, Berkeley
Mixing times of Gibbs samplers on random graphs
(Abstract)
- April 16
-
Muzaffer Akat, Carnegie Mellon University.
Multi-scale modeling of credit spreads
- April 24, Tuesday, 5:00 P.M, Wean Hall 8427
-
Miguel Lejeune, Carnegie Mellon University.
Exact Solution Approach for Stochastic Portfolio Optimization
with Trading Constraints
(Abstract)
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